Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''

  title={Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''},
  author={Alain Arneodo and Jean-François Muzy and Didier Sornette},
  journal={arXiv: Statistical Mechanics},
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our theoretical understanding of agent interactions and of the organization of the market. The gaussian paradigm of independent normally distributed price increments has long been known to be incorrect with many attempts to improve it. Econometric nonlinear… 
Quadratic Hawkes processes for financial prices
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My dissertation has three main chapters. Chapter 2 develops a structural dynamic factor model that estimates the effects of commodity price shocks on the Canadian macroeconomy, bank lending and bank
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Parameter estimation and forecasting for multiplicative log-normal cascades.
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A more rigorous generalized method of moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies is developed and it is shown that even under uncertainty about the actual number of cascade steps, the methodology yields very reliable results for the estimated intermittency parameter.
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A method of numerical simulation of realizations of MRW using the Circulant Embedding Method is presented and methods of its calibration are discussed.


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